Staff Working Papers
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Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption
Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consumption since 2007, in the aftermath of the housing bubble. -
Tractable Term-Structure Models and the Zero Lower Bound
We greatly expand the space of tractable term-structure models. We consider one example that combines positive yields with rich volatility and correlation dynamics. Bond prices are expressed in closed form and estimation is straightforward. -
Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries
We estimate the link between exchange rate fluctuations and the labour input of Canadian manufacturing industries. The analysis is based on a dynamic model of labour demand, and the econometric strategy employs a panel two-step approach for cointegrating regressions. -
Emergency Liquidity Facilities, Signalling and Funding Costs
In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.